Goyal, Amit; Pérignon, Christophe; Villa, Christophe - In: Journal of Financial Economics 90 (2008) 3, pp. 252-271
We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose and implement a general procedure to estimate the space spanned by common and group-specific pervasive factors. In our empirical analysis, we study the factor structure of...